Strategy: αc UI Global Flexible

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

8.9%

Time
Horizon

5+ years

Rebalancing Frequency

Bi-monthly

This strategy applies extra downside protection to one of CADELAM's best funds in terms of risk-reward, namely Universal Invest Global Flexible.

During times of decline, the strategy will switch to a cash-like instrument to avoid large drawdowns. More specifically, we use the AMBD Liquidity Fund as cash instrument. Since the fund only exists since October 2007, we simply use cash pre-October 2007.

Compared to a buy-and-hold approach where we stay invested in Universal Invest Global Flexible, the strategy results in a lower volatility portfolio with larger returns in the long run.

Portfolio Performance (May 1996 - Jul 2020)

Benchmark:

The performance metrics below are constructed from historical data dating from May 1996 to July 2020, which is approximately a total of 24 year(s). The portfolio is benchmarked against Universal Invest Global Flexible C Cap.

All metrics shown are inclusive of commission fees as well as transaction tax. For this concrete portfolio, we've applied some sensible defaults: a fixed commission fee of $0 for each transaction, as well as a 0% tax for each transaction. Performance may vary depending on the associated costs to investing in these instruments in a certain country, as well as other factors such as the exact time at which the trades were executed, slippage, and more.

Cumulative Returns

The chart above shows the cumulative return of the assets, which is the aggregate amount that an asset has gained or lost over time. αc UI Global Flexible returned a total of 694.96% between May 1996 and July 2020. Meanwhile, Universal Invest Global Flexible C Cap returned a total of 466.99% during the same period. In terms of cumulative returns, αc UI Global Flexible has been the better investment.

Portfolio Initial Balance Final Balance Annual Return Annual Volatility Best Year Worst Year Max Drawdown Sharpe Ratio Sortino Ratio
αc UI Global Flexible $10,000 $79,496 8.9% 6.4% 35.9% -6.5% -10.7% 1.35 2.29
Benchmark: Universal Invest Global Flexible C Cap $10,000 $56,699 7.4% 9% 28.5% -23.6% -32.1% 0.83 1.21

Explanation of columns:

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on May 1996.
  • Final balance: The amount of capital we've accrued over time as of July 2020.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 24 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolios/assets in question.

αc UI Global Flexible

Drawdown Peak date Valley date Recovery date Duration
-10.66% 2015-04-15 2015-12-14 2017-02-13 479 days
-9.49% 2020-02-19 2020-06-11 - -
-9.49% 2018-01-23 2018-10-11 2020-01-13 515 days
-8.84% 1997-08-22 1997-11-10 1998-02-09 122 days
-8.42% 2010-04-15 2011-11-24 2012-02-03 472 days

The αc UI Global Flexible took approximately 11 months on average to recover from a major drawdown.

Benchmark: Universal Invest Global Flexible C Cap

Drawdown Peak date Valley date Recovery date Duration
-32.11% 2007-07-19 2009-03-09 2011-01-12 910 days
-24.03% 2020-02-19 2020-03-23 - -
-19.96% 2002-04-26 2003-03-10 2004-01-12 447 days
-17.09% 2015-04-15 2016-02-11 2017-02-21 485 days
-13.91% 2001-06-15 2001-09-24 2002-04-22 222 days

The Universal Invest Global Flexible C Cap took approximately 14 months on average to recover from a major drawdown.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

Annual Returns

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1996 - - - - 0.1% -0.1% 0 -0.1% 0.9% 1.4% 1.3% 1.5%
1997 2.4% 2% 0.6% -0.1% 1.8% 3.9% 4.4% -3% 0.3% -3% 0.5% 0.3%
1998 4.7% 6.3% 6.7% 0.3% 1.3% 4.5% 3.4% -2.9% 0 0 7.2% 0
1999 1.2% 2.5% 1.3% 1.5% 0.5% 0.1% 3.1% -1.9% -1.4% 0 8.4% 4.3%
2000 3% 11.9% -1.7% -2% -0.1% 1% -1.9% 4.6% 1.3% 0 0 0
2001 0 0 0 0 0 0 -1.2% 0 0 0 0 0.6%
2002 2.8% -0.6% 0.4% -0.4% 0 0 0 0 0 0 0 -0.8%
2003 -0.1% -0.3% 1.2% 3.7% 3.8% 3.3% 1% 3.3% 0.2% 0.7% 1.5% 1%
2004 3.7% 2.4% -0.5% 3.1% -3% 0.9% -0.1% 0 1% 1.1% 3.3% 1.7%
2005 2% 2% 0.4% 0.1% 0 2.4% 2.4% -0.1% 2.4% -0.5% 3.8% 2.5%
2006 2.6% 1.7% 0.7% 0.6% -3.5% -2.3% 0 1.8% 2.4% 2.1% 0.2% 2%
2007 1.9% 1.2% -2.5% 2% 1.5% 0.2% -1.6% 0 -0.3% 0.7% -0.6% 0.4%
2008 0.4% 0.3% 0.3% 0.4% -0.4% 0.3% 0.4% 0.4% 0.4% 0.4% 0.3% 0.3%
2009 0.2% 0.1% 0.1% 1.6% 4.7% 1% 5.7% 3.6% 4.3% -0.3% 0.2% 3.3%
2010 1.5% -0.1% 3.2% 0.1% -3.6% 0 0 -0.1% 0.7% 1% -1.8% 2.7%
2011 0.5% 1.4% -0.6% 0.5% 0.5% -2.8% -1.6% -0.7% 0.1% 0.1% -1.6% 2%
2012 4.1% 2.8% 0 -1% -2% 1% 3% 0.2% 1.1% 1.2% -0.4% 2%
2013 1.3% 1.2% 1.2% 1.5% 1.1% -3.5% 2.6% -0.3% 2.2% 2.7% 1.3% 0.4%
2014 -0.9% -0.2% 1.2% 0.2% 2.1% 0.6% 0.1% 1% -0.1% -5.1% 2% -0.6%
2015 3.9% 3.8% 1.7% 1.2% 0.5% -2.8% 0.1% -1.6% 0 0 0.3% -2.6%
2016 -0.9% 0 0.6% 1.2% 1% -0.6% 2% 1.1% -0.5% 0.9% -0.1% 2%
2017 0.3% 3% 1.1% -0.2% 0.1% -0.8% 0.1% -0.7% 1.4% 1.8% -1% -0.1%
2018 1.1% -1.6% -1.7% -0.2% -1.3% -1.1% 1.4% -1.1% 0.4% -2.4% -0.1% 0
2019 0 1.8% 1.5% 2.3% -3.8% 0.8% 1.2% -2.4% 2% 0.4% 2.3% 1.5%
2020 -0.1% -4.8% 0.5% 0 0 0.6% 2.9% - - - - -
Pos 81.8% 72.7% 77.3% 72.7% 61.9% 63.6% 76.2% 40% 80% 72.2% 66.7% 81%
Avg 1.6% 1.7% 0.7% 0.7% 0.1% 0.3% 1.3% 0.1% 0.9% 0.2% 1.3% 1.2%

Transaction details

Summary

A complete trade consists of 2 transactions.

Total number of trades 78
Percent profitable 44%
Winning trades 34
Losing trades 22
Even trades 22

Returns

How much profit was made with each trade.

Avg returns all trades 2.36%
Avg returns winning 6.03%
Avg returns losing -0.96%
Largest winning trade 31.87%
Largest losing trade -4.29%

Duration

How long a position was held.

Avg duration 114 days
Median duration 61 days
Longest duration 695 days
Shortest duration 14 days

Allocation

The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from May 1996 to July 2020. For 27.4% of the time, the portfolio was allocated to bonds, and 72.6% of the time to equities.